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Investing Research Articles

3389 Research Articles

Why Did SACEVS Allocations Just Change So Much?

Subscribers asked why the Simple Asset Class ETF Value Strategy (SACEVS) signaled an apparently dramatic change in allocations at the end of June. SACEVS seeks a monthly tactical edge from timing three risk premiums associated with U.S. Treasury notes, corporate bonds and stocks: Term – monthly difference between the 10-year Constant Maturity U.S. Treasury note (T-note) yield… Keep Reading

Weekly Summary of Research Findings: 6/26/23 – 6/30/23

Below is a weekly summary of our research findings for 6/26/23 through 6/30/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

SACEMS Optimal Lookback Interval Stability

A subscriber asked about the stability of the momentum measurement (lookback) interval used for strategies like the Simple Asset Class ETF Momentum Strategy (SACEMS). To investigate, we run two tests on each of top one (Top 1),  equal-weighted top two (EW Top 2) and equal-weighted top three (EW Top 3) versions of SACEMS: Identify the… Keep Reading

Tech Equity Premium?

A subscriber requested measurement of a “premium” associated with stocks of innovative technology firms by looking at the difference in returns between the following two exchange-traded funds (ETF): Invesco QQQ Trust (QQQ), which generally tracks the NASDAQ 100 Index SPDR S&P 500 ETF Trust (SPY) Using monthly dividend-adjusted closing prices for these ETFs during March 1999… Keep Reading

Performance of non-U.S. 60-40

A subscriber asked about the performance of a strategy that each month rebalances to 60% international equities and 40% international corporate bonds (both non-U.S.), and how this performance compares to that of a portfolio that each month allocates 50% to Simple Asset Class ETF Value Strategy (SACEVS) Best Value and 50% to Simple Asset Class… Keep Reading

Backwards Search for the Most Important Firm/Stock Characteristics

Instead of searching among hundreds of firm/stock characteristics to identify those that best predict stock returns, what about first finding the stocks with the highest and lowest past returns and then examining the characteristics of those stocks? In his June 2023 paper entitled “Essence of the Cross Section”, Sina Seyfi identifies the strongest determinants of… Keep Reading

When AIs Generate Their Own Training Data

What happens as more and more web-scraped training data for Large Language Models (LLM), such as ChatGPT, derives from outputs of predecessor LLMs? In their May 2023 paper entitled “The Curse of Recursion: Training on Generated Data Makes Models Forget”, Ilia Shumailov, Zakhar Shumaylov, Yiren Zhao, Yarin Gal, Nicolas Papernot and Ross Anderson investigate changes… Keep Reading

Weekly Summary of Research Findings: 6/19/23 – 6/23/23

Below is a weekly summary of our research findings for 6/19/23 through 6/23/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Stock Market Behavior Around Mid-year and 4th of July

The middle of the year might be a time for funds to dress their windows and investors to review and revise portfolios. The 4th of July celebration might engender optimism among U.S. investors. Are there any reliable patterns in daily U.S. stock market returns around mid-year and the 4th of July? To check, we analyze… Keep Reading

Live Test of the Stock Market Overnight Move Effect

Is the stock market overnight move effect exploitable? To investigate, we look at performances of two exchange-traded funds (ETF) designed to exploit the effect: NightShares 500 ETF (NSPY), which “seeks to return the night performance of a portfolio of 500 large cap U.S. companies.” The benchmark is SPDR S&P 500 ETF Trust (SPY). NightShares 2000… Keep Reading